Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited (Q2295037)
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scientific article; zbMATH DE number 7166567
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| English | Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited |
scientific article; zbMATH DE number 7166567 |
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Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited (English)
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12 February 2020
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generalized Itô's formula
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Girsanov's example
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heterogeneous diffusion process
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local time
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non-uniqueness
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singular stochastic differential equation
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skew Brownian motion
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Stratonovich integral
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time reversion
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0.8880575
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0.87973446
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0.87959146
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0.8795733
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0.87484604
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0.87368786
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0.8721398
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